Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0925 |
| Annualized Std Dev | 0.1746 |
| Annualized Sharpe (Rf=0%) | 0.5298 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4313.0000 |
| NAs | 1.0000 |
| Minimum | -0.1105 |
| Quartile 1 | -0.0045 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1178 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0110 |
| Skewness | -0.1605 |
| Kurtosis | 11.1216 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0080 |
| Gain Deviation | 0.0076 |
| Loss Deviation | 0.0086 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0078 |
| Downside Deviation (0%) | 0.0078 |
| Maximum Drawdown | 0.4091 |
| Historical VaR (95%) | -0.0165 |
| Historical ES (95%) | -0.0263 |
| Modified VaR (95%) | -0.0157 |
| Modified ES (95%) | -0.0225 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-05 | 2011-04-27 | -0.4091 | 851 | 310 | 541 |
| 2020-02-20 | 2020-03-23 | 2020-06-08 | -0.2904 | 76 | 23 | 53 |
| 2015-07-21 | 2016-02-11 | 2017-06-19 | -0.2124 | 483 | 143 | 340 |
| 2011-05-19 | 2011-08-08 | 2012-03-13 | -0.1831 | 206 | 56 | 150 |
| 2018-10-02 | 2018-12-24 | 2019-11-15 | -0.1727 | 284 | 58 | 226 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 0.3 | 0.6 | 0.3 | 0 | -1.3 | 0.1 | 0.8 | 1.1 | -0.9 | 1.6 | -0.5 | 2 |
| 2005 | 1 | 0.6 | -0.8 | 1.6 | 0.3 | -0.2 | 0.4 | 0.4 | 0.1 | -0.4 | 0.9 | -0.5 | 3.5 |
| 2006 | 0.6 | 0.4 | -0.4 | -0.7 | 1.4 | 0.7 | -0.2 | 0.6 | 0.1 | -0.9 | 0 | -0.4 | 1.1 |
| 2007 | 0.8 | -0.6 | 0.3 | 0.3 | 0.3 | -0.5 | 0.8 | 0.7 | 1.1 | -1.7 | 0.2 | -0.7 | 1 |
| 2008 | 1.3 | -1.5 | 2.5 | 1.7 | 0.1 | 0.6 | -0.9 | -1.1 | -0.6 | 1.9 | -6.3 | 1.1 | -1.5 |
| 2009 | -1.4 | -4.1 | 0.5 | -0.2 | 0.7 | 0 | -0.4 | -1.2 | -1.9 | -1.5 | 1.1 | -1.1 | -9.2 |
| 2010 | 0.3 | 1.1 | 0.5 | -1.3 | -1.2 | -1.3 | 0.6 | 2.4 | 0 | -0.1 | 1.9 | -0.3 | 2.7 |
| 2011 | 1.6 | -0.7 | 0.6 | -0.2 | -1.4 | 1.3 | -1.9 | -1 | -1.3 | -2.2 | 0 | -0.2 | -5.4 |
| 2012 | 1.2 | 0.5 | 0.7 | 0.3 | -2 | 2 | -0.3 | 0.4 | 0.6 | 0.8 | 0 | 1.2 | 5.6 |
| 2013 | 0.8 | 0.7 | 0 | -1.1 | -2 | 0.8 | 0.7 | -0.6 | 1.3 | 0.7 | 0 | 0 | 1.3 |
| 2014 | -0.8 | -0.5 | 0.8 | 0.2 | 0.1 | 1.3 | 0 | 0.5 | -1 | 0.5 | -0.4 | -0.8 | -0.3 |
| 2015 | -1.5 | -0.5 | -1.2 | 1.4 | 0.3 | 0.7 | 0.7 | -2.7 | 0.8 | -0.6 | 1.4 | -0.9 | -2.3 |
| 2016 | 0.3 | 2.2 | 1.3 | -1.5 | 0.4 | 0.6 | 0.6 | -0.2 | 1.1 | -0.5 | -1 | -0.3 | 3.1 |
| 2017 | 0.7 | 1.2 | -0.2 | 0.2 | 1.3 | -0.1 | -0.4 | 0.1 | 0.5 | 0 | -0.1 | -0.7 | 2.5 |
| 2018 | 0.1 | -1.5 | 0.8 | 0.1 | 1.1 | 0.1 | 0.2 | 0.1 | 0.3 | 1.7 | 1 | 1.5 | 5.6 |
| 2019 | 0.1 | 1.5 | 0.1 | -0.4 | -0.9 | 0.5 | 0.1 | 0 | -1.2 | 0.5 | -0.3 | 0.3 | 0.3 |
| 2020 | -1.9 | -1.1 | -3.9 | -2 | -0.8 | 0.8 | -0.7 | -0.9 | -0.3 | -0.4 | 0.7 | 0.7 | -9.5 |
| 2021 | 0.6 | 1.5 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-01-30 50.0 SPY 113. 0 -0.0083 0.0207 0.0789 0.344 -0.168 -0.0998 <NA> NA NA NA
2 2004-02-02 50.6 SPY 114. 0.0043 -0.0164 0.0242 0.0813 0.324 -0.162 -0.0853 <NA> NA NA NA
3 2004-02-03 50.9 SPY 114. -0.0017 -0.0078 0.0229 0.0805 0.320 -0.163 -0.102 <NA> NA NA NA
4 2004-02-04 50.9 SPY 113. -0.0082 -0.0046 0.0036 0.0647 0.322 -0.174 -0.116 <NA> NA NA NA
5 2004-02-05 50.7 SPY 113. 0.00290 -0.0026 0.0056 0.0702 0.334 -0.179 -0.108 <NA> NA NA NA
6 2004-02-06 51.0 SPY 114. 0.0112 0.0085 0.0135 0.0813 0.355 -0.165 -0.0926 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
